It's supposed to go off when the screen saver activates or it goes into "power saving". Not all Roku devices have a "power saving" mode, so if There's no Power category under Settings->System then that doesn't apply. It seems to be unreliable whether it will go off, but try setting the Screensaver start time under Settings->Theme to 1 minute and then press Home on your remote and wait a minute to see if it goes out.
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